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Mean-variance portfolio selection with an uncertain exit-time in a regime-switching market

Keykhaei, Reza - In: RAIRO / Operations research 53 (2019) 4, pp. 1171-1186

Persistent link: https://www.econbiz.de/10012118960

Optimal policy for a time consistent mean-variance model with regime switching

Li, Gang; Chen, Zhiping; Liu, Jia - In: IMA journal of management mathematics 27 (2016) 2, pp. 211-234

Persistent link: https://www.econbiz.de/10011567026

Multi-period mean-variance portfolio selection with state-dependent exit probability and bankruptcy state

Wang, Yang; Wu, Yonghong; Zhang, Xinguang - In: Journal of mathematical finance 9 (2019) 2, pp. 152-174

Persistent link: https://www.econbiz.de/10012233377

Shortfall risk minimization under fixed transaction costs

Nayman, Niv - In: International journal of theoretical and applied finance 21 (2018) 5, pp. 1-29

Persistent link: https://www.econbiz.de/10011903790

Portfolio optimization under partial information with expert opinions

Frey, Rüdiger; Gabih, Abdelali; Wunderlich, Ralf - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10009562133

Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model

Gu, Ailing; Viens, Frederi G.; Shen, Yang - In: Scandinavian actuarial journal 2020 (2020) 4, pp. 342-375

Persistent link: https://www.econbiz.de/10012262741

Closed-form portfolio optimization under GARCH models

Escobar, Marcos; Gollart, Maximilian; Zagst, Rudi - In: Operations research perspectives 9 (2022), pp. 1-13

This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the expected utility from terminal wealth under a...

Persistent link: https://www.econbiz.de/10012880259